Click based trading with intuitive grid display of market depth and price consolidation

ABSTRACT

A method and system for reducing the time it takes for a trader to place a trade when electronically trading on an exchange, thus increasing the likelihood that the trader will have orders filled at desirable prices and quantities. The price consolidation feature of the present invention, as described herein, enables a trader to consolidate a number of prices in order to condense the display. Such action allows a trader to view a greater range of prices and a greater number of orders in the market at any given time. By consolidating prices, and therefore orders, a trader reduces the risk of a favorable order scrolling from the screen prior to filling a bid or ask on that order at a favorable price.

CROSS REFERENCE TO RELATED APPLICATIONS

This application is a continuation of U.S. patent application Ser. No.12/576,084, filed Oct. 8, 2009, now U.S. Pat. No. 8,190,501, which is acontinuation of U.S. patent application Ser. No. 11/389,018 filed Mar.27, 2006, now U.S. Pat. No. 7,702,566, which is a continuation of U.S.patent application Ser. No. 09/971,087, filed Oct. 5, 2001, now U.S.Pat. No. 7,127,424, which claims the benefit of U.S. ProvisionalApplication No. 60/238,001, filed Oct. 6, 2000. U.S. Pat. No. 7,127,424and is a continuation-in-part of U.S. patent application Ser. No.09/590,692, filed Jun. 9, 2000, now U.S. Pat. No. 6,772,132, whichclaims the benefit of U.S. Provisional Application No. 60/186,322, filedMar. 2, 2000. Each of these applications are incorporated by referenceherein in their entirety.

BACKGROUND

The present invention is directed to the electronic trading ofcommodities. Specifically, the invention provides a trader with aversatile and efficient tool for executing trades. It facilitates thedisplay of and the rapid placement of trade orders within the markettrading depth of a commodity, where a commodity includes anything thatcan be traded with quantities and/or prices.

At least 60 exchanges throughout the world utilize electronic trading invarying degrees to trade stocks, bonds, futures, options and otherproducts. These electronic exchanges are based on three components:mainframe computers (host), communications servers, and the exchangeparticipants' computers (client). The host forms the electronic heart ofthe fully computerized electronic trading system. The system'soperations cover order-matching, maintaining order books and positions,price information, and managing and updating the database for the onlinetrading day as well as nightly batch runs. The host is also equippedwith external interfaces that maintain uninterrupted online contact toquote vendors and other price information systems.

Traders can link to the host through three types of structures: highspeed data lines, high speed communications servers and the Internet.High speed data lines establish direct connections between the clientand the host. Another connection can be established by configuring highspeed networks or communications servers at strategic access pointsworldwide in locations where traders physically are located. Data istransmitted in both directions between traders and exchanges viadedicated high speed communication lines. Most exchange participantsinstall two lines between the exchange and the client site or betweenthe communication server and the client site as a safety measure againstpotential failures. An exchange's internal computer system is also ofteninstalled with backups as a redundant measure to secure systemavailability. The third connection utilizes the Internet. Here, theexchange and the traders communicate back and forth through high speeddata lines, which are connected to the Internet. This allows traders tobe located anywhere they can establish a connection to the Internet.

Irrespective of the way in which a connection is established, theexchange participants' computers allow traders to participate in themarket. They use software that creates specialized interactive tradingscreens on the traders' desktops. The trading screens enable traders toenter and execute orders, obtain market quotes, and monitor positions.The range and quality of features available to traders on their screensvaries according to the specific software application being run. Theinstallation of open interfaces in the development of an exchange'selectronic strategy means users can choose, depending on their tradingstyle and internal requirements, the means by which they will access theexchange.

The world's stock, bond, futures and options exchanges have volatileproducts with prices that move rapidly. To profit in these markets,traders must be able to react quickly. A skilled trader with thequickest software, the fastest communications, and the mostsophisticated analytics can significantly improve his own or his firm'sbottom line. The slightest speed advantage can generate significantreturns in a fast moving market. In today's securities markets, a traderlacking a technologically advanced interface is at a severe competitivedisadvantage.

Irrespective of what interface a trader uses to enter orders in themarket, each market supplies and requires the same information to andfrom every trader. The bids and asks in the market make up the marketdata and everyone logged on to trade can receive this information if theexchange provides it. Similarly, every exchange requires that certaininformation be included in each order. For example, traders must supplyinformation like the name of the commodity, quantity, restrictions,price and multiple other variables. Without all of this information, themarket will not accept the order. This input and output of informationis the same for every trader.

With these variables being constant, a competitive speed advantage mustcome from other aspects of the trading cycle. When analyzing the time ittakes to place a trade order for a given commodity, various stepscontribute in different amounts to the total time required.Approximately 8% of the total time it takes to enter an order elapsesbetween the moment the host generates the price for the commodity andthe moment the client receives the price. The time it takes for theclient application to display the price to the trader amounts toapproximately 4%. The time it takes for a trade order to be transmittedto the host amounts to approximately 8%. The remainder of the total timeit takes to place an order, approximately 80%, is attributable to thetime required for the trader to read the prices displayed and to enter atrade order. The present invention provides a significant advantageduring the slowest portion of the trading cycle—while the tradermanually enters his order. Traders recognize that the value of timesavings in this portion may amount to millions of dollars annually.

In existing systems, multiple elements of an order must be entered priorto an order being sent to market, which is time consuming for thetrader. Such elements include the commodity symbol, the desired price,the quantity and whether a buy or a sell order is desired. The more timea trader takes entering an order, the more likely the price on which hewanted to bid or offer will change or not be available in the market.The market is fluid as many traders are sending orders to the marketsimultaneously. It fact, successful markets strive to have such a highvolume of trading that any trader who wishes to enter an order will finda match and have the order filled quickly, if not immediately. In suchliquid markets, the prices of the commodities fluctuate rapidly. On atrading screen, this results in rapid changes in the price and quantityfields within the market grid. If a trader intends to enter an order ata particular price, but misses the price because the market prices movedbefore he could enter the order, he may lose hundreds, thousands, evenmillions of dollars. The faster a trader can trade, the less likely itwill be that he will miss his price and the more likely he will makemoney.

The “Mercury” display and trading method of the present invention ensurefast and accurate execution of trades by displaying market depth on avertical or horizontal plane, which fluctuates logically up or down,left or right across the plane as the market prices fluctuates, whilethe display of the corresponding prices remains static. This allows thetrader to trade quickly and efficiently.

One advantage of the static price column is that traders are more likelyto enter orders at desired prices because the prices don't move on thescreen. However, the physical size of a trader's computer screen imposesa limitation on the static price column in that only a finite number ofprices can be displayed within that screen area.

Exchanges list the prices of commodities traded in the marketplace insmall denominations, like 1/32nd or 1/64th of a dollar, or in decimalslike 0.01. The smallest such denomination for each commodity is called a“tick.” The static price column of Mercury can display each tick inprice rows that make up the static price column. As the ticks becomesmaller, more price rows are required on the trader's computer screen tolist all of them. For example, while only one field would be required todisplay a tick of one dollar, if that dollar was broken down into64th's, 64 price rows would now be required to display the same onedollar price range. As such, much of the space on a trader's computerscreen might be monopolized to show activity in the marketplace within asmall variance in price. Many traders find a small variance in price,like 1/64th of a dollar, to be inconsequential. Those traders arewilling to give up a display of the actual ticks available in a marketin exchange for a wider range of prices. Similar display problems mayoccur when the market is volatile. In a volatile market, the differencebetween the best bid and the best ask (the spread) widens, and a widerspread results in a trader seeing less of the overall market on hiscomputer screen due to the space restrictions.

SUMMARY

The inventors have developed the present invention which overcomes thedrawbacks of the existing trading systems and dramatically reduces thetime it takes for a trader to place a trade when electronically tradingon an exchange. This, in turn, increases the likelihood that the traderwill have orders filled at desirable prices and quantities. The presentinvention consolidates the available ticks and the corresponding bid andask quantities in the marketplace so that the trader sees a larger rangeof prices in the market. As a result of the consolidated price rows, thetrader will also enter orders in a consolidated fashion by clicking onactive trading fields in the Mercury display.

Specifically, the present invention is directed to a method ofdisplaying and a graphical user interface for displaying the marketdepth of a commodity traded in a market. Both the method and the userinterface include: dynamically displaying, in a bid display region, aplurality of consolidated bids for the commodity, each of the pluralityof consolidated bids representing a plurality of bid quantities in themarket for the commodity; dynamically displaying, in an ask displayregion, a plurality of consolidated asks for the commodity; each of saidplurality of consolidated asks representing a plurality of askquantities in the market for the commodity; and statically displayingconsolidated prices corresponding to the plurality of consolidated bidsand asks, each of the consolidated prices representing a plurality ofprices for the commodity, wherein the pluralities of consolidated bidsand asks are dynamically displayed in alignment with the consolidatedprices corresponding thereto.

Also described herein is a method and system for placing trade ordersusing such displays. Specifically, the present invention includes amethod and system of placing a trade order for a commodity, using agraphical user interface and a user input device and having presetparameters for trade orders. The method and system include: displayingthe market depth of a commodity traded in a market, through a dynamicdisplay, in a bid display region, of a plurality of consolidated bidsfor said commodity and, in an ask display region, of a plurality ofconsolidated asks for the commodity, aligned with a static display ofconsolidated prices corresponding thereto. The method and system alsoinclude initiating placement of a trade order of the commodity through asingle action of the user input device with a pointer of the user inputdevice positioned within at least one of the bid and ask displayregions, wherein each of said plurality of consolidated bids and asksrepresents a plurality of bid and asks quantities, respectively, in themarket for the commodity, wherein each of said consolidated pricesrepresents a plurality of prices for the commodity and wherein thecontents of the trade order are based in part upon the preset parametersand the position of the pointer at the time of the single action.

The inventors have developed the present invention, which builds uponthe Mercury display described in parent application, and dramaticallyreduces the problems associated with the display of multiple prices whensuch prices are listed in small ticks.

This new feature consolidates the display of price information on thestatic price column of the Mercury electronic trading screen, therebyreducing the potential drawbacks associated with a fast movingmarketplace that trades in small denominations.

The price consolidation feature of the present invention, as describedherein, enables a trader to consolidate a number of prices in order tocondense the display. Such action allows a trader to view a greaterrange of prices and a greater number of orders in the market at anygiven time. By consolidating prices, and therefore orders, a traderreduces the risk of a favorable order scrolling from the screen prior tohis hitting a bid or ask on that order at its favorable price.

These embodiments, and others described in greater detail herein,provide the trader with improved efficiency and versatility in placing,and thus executing, trade orders for commodities in an electronicexchange. Other features and advantages of the present invention willbecome apparent to those skilled in the art from the following detaileddescription. It should be understood, however, that the detaileddescription and specific examples, while indicating preferredembodiments of the present invention, are given by way of illustrationand not limitation. Many changes and modifications within the scope ofthe present invention may be made without departing from the spiritthereof, and the invention includes all such modifications.

BRIEF DESCRIPTION OF THE FIGURES

The foregoing advantages and features of the invention will becomeapparent upon reference to the following detailed description and theaccompanying drawings, of which:

FIG. 1 illustrates the network connections between multiple exchangesand client sites;

FIG. 2 illustrates screen display showing the inside market and themarket depth of a given commodity being traded;

FIG. 3 illustrates the Mercury display of the present invention;

FIG. 4 illustrates the Mercury display at a later time showing themovement of values when compared to FIG. 3;

FIG. 5 illustrates a Mercury display with parameters set in order toexemplify the Mercury trading method;

FIG. 6 is a flowchart illustrating the process for Mercury display andtrading;

FIGS. 7A and 7B show corresponding displays before and after priceconsolidation;

FIGS. 8A and 8B illustrate the consolidation of bid and ask quantities;

FIG. 9 illustrates different areas of the display of the presentinvention wherein trade orders can be placed;

FIG. 10 illustrates a consolidated display with a trade order;

FIGS. 11-18 illustrate various schemes for distributing a trade order;and

FIG. 19 is a flowchart illustrating the process for trading using theprice consolidation feature of the present invention.

DETAILED DESCRIPTION

As described with reference to the accompanying figures, the presentinvention provides a display and trading method to ensure fast andaccurate execution of trades by displaying market depth on a vertical orhorizontal plane, which fluctuates logically up or down, left or rightacross the plane as the market prices fluctuates. This allows the traderto place trade orders quickly and efficiently. A commodity's marketdepth is the current bid and ask prices and quantities in the market.The display and trading method of the invention increase the likelihoodthat the trader will be able to execute orders at desirable prices andquantities.

In the preferred embodiment, the present invention is implemented on acomputer or electronic terminal. The computer is able to communicateeither directly or indirectly (using intermediate devices) with theexchange to receive and transmit market, commodity, and trading orderinformation. It is able to interact with the trader and to generatecontents and characteristics of a trade order to be sent to theexchange. It is envisioned that the system of the present invention canbe implemented on any existing or future terminal or device with theprocessing capability to perform the functions described herein. Thescope of the present invention is not limited by the type of terminal ordevice used. Further, the specification refers to a single click of amouse as a means for user input and interaction with the terminaldisplay as an example of a single action of the user. While thisdescribes a preferred mode of interaction, the scope of the presentinvention is not limited to the use of a mouse as the input device or tothe click of a mouse button as the user's single action. Rather, anyaction by a user within a short period of time, whether comprising oneor more clicks of a mouse button or other input device, is considered asingle action of the user for the purposes of the present invention.

The system can be configured to allow for trading in a single or inmultiple exchanges simultaneously. Connection of the system of thepresent invention with multiple exchanges is illustrated in FIG. 1. Thisfigure shows multiple host exchanges 101-103 connected through routers104-106 to gateways 107-109. Multiple client terminals 110-116 for useas trading stations can then trade in the multiple exchanges throughtheir connection to the gateways 107-109. When the system is configuredto receive data from multiple exchanges, then the preferredimplementation is to translate the data from various exchanges into asimple format. This “translation” function is described below withreference to FIG. 1. An applications program interface (“TT API” asdepicted in the figure) translates the incoming data formats from thedifferent exchanges to a simple preferred data format. This translationfunction may be disposed anywhere in the network, for example, at thegateway server, at the individual workstations or at both. In addition,the storage at gateway servers and at the client workstations, and/orother external storage cache historical data such as order books whichlist the client's active orders in the market; that is, those ordersthat have neither been filled nor cancelled. Information from differentexchanges can be displayed at one or in multiple windows at the clientworkstation. Accordingly, while reference is made through the remainderof the specification to a single exchange to which a trading terminal isconnected, the scope of the invention includes the ability to trade, inaccordance with the trading methods described herein, in multipleexchanges using a single trading terminal.

The preferred embodiments of the present invention include the displayof “Market Depth” and allow traders to view the market depth of acommodity and to execute trades within the market depth with a singleclick of a computer mouse button. Market Depth represents the order bookwith the current bid and ask prices and quantities in the market. Inother words, Market Depth is each bid and ask that was entered into themarket, subject to the limits noted below, in addition to the insidemarket. For a commodity being traded, the “inside market” is the highestbid price and the lowest ask price.

The exchange sends the price, order and fill information to each traderon the exchange. The present invention processes this information andmaps it through simple algorithms and mapping tables to positions in atheoretical grid program or any other comparable mapping technique formapping data to a screen. The physical mapping of such information to ascreen grid can be done by any technique known to those skilled in theart. The present invention is not limited by the method used to map thedata to the screen display.

How far into the market depth the present invention can display dependson how much of the market depth the exchange provides. Some exchangessupply an infinite market depth, while others provide no market depth oronly a few orders away from the inside market. The user of the presentinvention can also choose how far into the market depth to display onhis screen.

FIG. 2 illustrates a screen display of an invention described in acommonly owned application entitled “Click Based Trading with MarketDepth Display” Ser. No. 09/589,751 filed on Jun. 9, 2000, now U.S. Pat.No. 6,938,011, the contents of which are incorporated herein byreference. This display shows the inside market and the market depth ofa given commodity being traded. Row 1 represents the “inside market” forthe commodity being traded which is the best (highest) bid price andquantity and the best (lowest) ask price and quantity. Rows 2-5represent the “market depth” for the commodity being traded. In thepreferred embodiment of the present invention, the display of marketdepth (rows 2-5) lists the available next-best bids, in column 203, andasks, in column 204. The working bid and ask quantity for each pricelevel is also displayed in columns 202 and 205 respectively (insidemarket—row 1). Prices and quantities for the inside market and marketdepth update dynamically on a real time basis as such information isrelayed from the market.

In the screen display shown in FIG. 2, the commodity (contract) beingtraded is represented in row 1 by the character string “CDH0”. The Depthcolumn 208 will inform the trader of a status by displaying differentcolors. Yellow indicates that the program application is waiting fordata. Red indicates that the Market Depth has failed to receive the datafrom the server and has “timed out.” Green indicates that the data hasjust been updated. The other column headings in this and all of theother figures, are defined as follows. BidQty (Bid Quantity): thequantity for each working bid, BidPrc (Bid Price): the price for eachworking bid, AskPrc (Ask Price): the price for each working ask, AskQty(Ask Quantity): the quantity for each working ask, LastPrc (Last Price):the price for the last bid and ask that were matched in the market andLastQty (Last Quantity): the quantity traded at the last price. Totalrepresents the total quantity traded of the given commodity.

The configuration of the screen display itself informs the user in amore convenient and efficient manner than existing systems. Traders gaina significant advantage by seeing the market depth because they can seetrends in the orders in the market. The market depth display shows thetrader the interest the market has in a given commodity at differentprice levels. If a large amount of bids or asks are in the market nearthe trader's position, he may feel he should sell or buy before theinside market reaches the morass of orders. A lack of orders above orbelow the inside market might prompt a trader to enter orders near theinside market. Without seeing the market depth, no such strategies couldbe utilized. Having the dynamic market depth, including the bid and askquantities and prices of a traded commodity aligned with and displayedbelow the current inside market of the commodity conveys the informationto the user in a more intuitive and easily understandable manner. Trendsin the trading of the commodity and other relevant characteristics aremore easily identifiable by the user through the use of the presentinvention.

Various abbreviations are used in the screen displays, and specifically,in the column headings of the screen displays reproduced herein. Someabbreviations have been discussed above. A list of common abbreviationsand their meanings is provided in Table 1.

TABLE I Abbreviations COLUMN DESCRIPTION COLUMN DESCRIPTION MonthExpiration Month/ TheoBid Theoretical Bid Price Year Bid Mbr(1) BidMember ID TheoAsk Theoretical Ask Price WrkBuys(2) Working Buys for QActQuote Action (Sends entire Group ID individual quotes) BidQty BidQuantity BQQ Test Bid Quote Quantity ThrshBid(6) Threshold Bid BQP TestBid Quote Price Price BidPrc Bid Price Mkt BQQ Market Bid Quote QuantityBid Qty Accumulated Bid Mkt BQP Market Bid Quote Price Accum QuantityBidPrc Avg Bid Price Average Quote Checkbox activates/ deactivatescontract for quoting AskPrc Avg Ask Price Average Mkt AQQ Market AskQuote Quantity AskQty Accumulated Ask Mkt AQP Market Ask Quote PriceAccum Quantity AskPrc Ask Price AQP Ask Quote Price ThrshAsk(6)Threshold Ask AQQ Ask Quote Quantity Price AskQty Ask Quantity ImpImplied Bid Quantity BidQty(5) WrkSells(2) Working Sells for Imp ImpliedBid Price entire Group ID BidPrc(5) Ask Mbr(1) Ask Member ID Imp ImpliedAsk Quantity AskQty(5) NetPos Net Position Imp Implied Ask PriceAskPrc(5) FFNetPos Fast Fill Net Gamma(3) Change in Delta given 1Position pt change in underlying LastPrc Last Price Delta(3) Change inprice given 1 pt change in underlying LastQty Last Quantity Vola(3)Percent volatility Total Total Traded Vega(3) Price change given 1%Quantity change in Vola High High Price Rho(3) Price change given 1%change in interest rate Low Low Price Theta(3) Price change for everyday that elapses Open Opening Price Click Trd Activate/deactivate clicktrading by contract Close Closing Price S (Status) Auction, Closed,FastMkt, Not Tradable, Pre-trading, Tradable, S = post-trading Chng LastPrice- Expiry Expiration Month/Year Last Close TheoPrc Theoretical Price

As described herein, the display and trading method of the presentinvention provide the user with certain advantages over systems in whicha display of market depth, as shown in FIG. 2, is used. The Mercurydisplay and trading method of the present invention ensure fast andaccurate execution of trades by displaying market depth on a vertical orhorizontal plane, which fluctuates logically up or down, left or rightacross the plane as the market prices fluctuates. This allows the traderto trade quickly and efficiently. An example of such a Mercury displayis illustrated in the screen display of FIG. 3.

The display of market depth and the manner in which traders trade withinthe market depth can be effected in different manners, which manytraders will find materially better, faster and more accurate. Inaddition, some traders may find the display of market depth to bedifficult to follow. In the display shown in FIG. 2, the market depth isdisplayed vertically so that both Bid and Ask prices descend the grid.The Bid prices descend the market grid as the prices decrease. Askprices also descend the market grid as these prices actually increase.This combination may be considered counterintuitive and difficult tofollow by some traders.

The Mercury display overcomes this problem in an innovative and logicalmanner. Mercury also provides an order entry system, market grid, fillwindow and summary of market orders in one simple window. Such acondensed display materially simplifies the trading system by enteringand tracking trades in an extremely efficient manner. Mercury displaysmarket depth in a logical, vertical fashion or horizontally or at someother convenient angle or configuration. A vertical field is shown inthe figures and described for convenience, but the field could behorizontal or at an angle. In turn, Mercury further increases the speedof trading and the likelihood of entering orders at desired prices withdesired quantities. In the preferred embodiment of the invention, theMercury display is a static vertical column of prices with the bid andask quantities displayed in vertical columns to the side of the pricecolumn and aligned with the corresponding bid and ask prices. An exampleof this display is shown in FIG. 3.

Bid quantities are in the column 1003 labeled BidQ and ask quantitiesare in column 1004 labeled AskQ. The representative ticks from pricesfor the given commodity are shown in column 1005. The column does notlist the whole prices (e.g. 95.89), but rather, just the last two digits(e.g. 89). In the example shown, the inside market, cells 1020, is 18(best bid quantity) at 89 (best bid price) and 20 (best ask quantity) at90 (best ask price). In the preferred embodiment of the invention, thesethree columns are shown in different colors so that the trader canquickly distinguish between them.

The values in the price column are static; that is, they do not normallychange positions unless a re-centering command is received (discussed indetail later). The values in the Bid and Ask columns however, aredynamic; that is, they move up and down (in the vertical example) toreflect the market depth for the given commodity. The LTQ column 1006shows the last traded quantity of the commodity. The relative positionof the quantity value with respect to the Price values reflects theprice at which that quantity was traded. Column 1001 labeled E/W(entered/working) displays the current status of the trader's orders.The status of each order is displayed in the price row where it wasentered. For example, in cells 1007, the number next to S indicates thenumber of the trader's ordered lots that have been sold at the price inthe specific row. The number next to W indicates the number of thetrader's ordered lots that are in the market, but have not beenfilled—i.e. the system is working on filling the order. Blanks in thiscolumn indicate that no orders are entered or working at that price. Incells 1008, the number next to B indicates the number of the trader'sordered lots that have been bought at the price in the specific row. Thenumber next to W indicates the number of the trader's ordered lots thatare in the market, but have not been filled—i.e. the system is workingon filling the order.

Various parameters are set and information is provided in column 1002.For example, “10:48:44” in cell 1009 shows the actual time of day. The Land R fields in cell 1010 indicate a quantity value, which may be addedto the order quantity entered. This process is explained below withrespect to trading under Mercury. Below the L and R fields, in cell1011, a number appears which represents the current market volume. Thisis the number of lots that have been traded for the chosen contract.Cell 1012, “X 10”, displays the Net Quantity, the current position ofthe trader on the chosen contract. The number “10” represents thetrader's buys minus sells. Cell 1013 is the “Current Quantity”; thisfield represents the quantity for the next order that the trader willsend to market. This can be adjusted with right and left clicks (up anddown) or by clicking the buttons which appear below the Current Quantityin cells 1014. These buttons increase the current quantity by theindicated amount; for example, “10” will increase it by 10; “1H” willincrease it by 100; “1K” will increase it by 1000. Cell 1015 is theClear button; clicking this button will clear the Current Quantityfield. Cell 1016 is the Quantity Description; this is a pull down menuallowing the trader to chose from three Quantity Descriptions. The pulldown menu is displayed when the arrow button in the window is clicked.The window includes NetPos, Offset and a field allowing the trader toenter numbers. Placing a number in this field will set a default buy orsell quantity. Choosing “Offset” in this field will enable the L/Rbuttons of cell 1010. Choosing “NetPos” in this field will set thecurrent Net Quantity (trader's net position) as the trader's quantityfor his next trade. Cell 1017 are +/− buttons; these buttons will alterthe size of the screen—either larger (+) or smaller (−). Cell 1018 isused to invoke Net 0; clicking this button will reset the Net Quantity(cell 1011) to zero. Cell 1019 is used to invoke Net Real; clicking thisbutton will reset the Net Quantity (cell 1011) to its actual position.

The inside market and market depth ascend and descend as prices in themarket increase and decrease. For example, FIG. 4 shows a screendisplaying the same market as that of FIG. 3 but at a later intervalwhere the inside market, cells 1101, has risen three ticks. Here, theinside market for the commodity is 43 (best bid quantity) at 92 (bestbid price) and 63 (best ask quantity) at 93 (best ask price). Incomparing FIGS. 3 and 4, it can be seen that the price column remainedstatic, but the corresponding bids and asks rose up the price column.Market Depth similarly ascends and descends the price column, leaving avertical history of the market.

As the market ascends or descends the price column, the inside marketmight go above or below the price column displayed on a trader's screen.Usually a trader will want to be able to see the inside market to assessfuture trades. The system of the present invention addresses thisproblem with a one click centering feature. With a single click at anypoint within the gray area, 1021, below the “Net Real” button, thesystem will re-center the inside market on the trader's screen. Also,when using a three-button mouse, a click of the middle mouse button,irrespective of the location of the mouse pointer, will re-center theinside market on the trader's screen.

The same information and features can be displayed and enabled in ahorizontal fashion. Just as the market ascends and descends the verticalMercury display shown in FIGS. 3 and 4, the market will move left andright in the horizontal Mercury display. The same data and the sameinformation gleaned from the dynamical display of the data is provided.It is envisioned that other orientations can be used to dynamicallydisplay the data and such orientations are intended to come within thescope of the present invention.

Display Using Price Consolidation

The price consolidation feature of the present invention is used tocondense a large number of price rows into a more manageable number ofprice rows, resulting in more expedient trading. By consolidatingprices, and therefore orders, a trader reduces the risk of a favorableorder scrolling from the screen prior to his hitting a bid or ask onthat order at its favorable price.

The present invention provides a display and graphical user interface onwhich order and price information is displayed and from which order andprice information can be sent to electronic markets. FIG. 7A shows anunconsolidated screen 1700 while FIG. 7B shows a consolidated screen1702 under the present invention. There are three primary areas that areof interest in the consolidation of prices—the Bid Quantity (BidQ)column 1704, 1710, the Ask Quantity (AskQ) column 1706, 1712, and thePrice (Prc) column 1708, 1714. In the preferred embodiment, the displayhas a vertical orientation and these display regions are shown ascolumns, as is evident in the figures. However, in other embodiments,these display regions could be horizontal rows or some other shape andorientation.

The Bid Quantity column lists the total amount of working bids in themarket at the corresponding price rows. As discussed above, a “bid” isan order to buy a given quantity of a commodity at a given price. TheAsk Quantity column lists the total amount of working asks in the marketat the corresponding price rows. An “ask” is an order to sell a givenquantity of a commodity at a given price. The Price column lists theprices (ticks) for the chosen commodity.

Typically, markets provide prices in ticks. The static price column ofthe Mercury trading screen can display as many such ticks as thetrader's screen will allow. The present invention makes it possible toexpand the price range displayed by consolidating the price rows as muchas the trader desires. The trader designates a finite number of ticks(e.g. 5) to be consolidated into a single consolidated price row, andthe present invention will consolidate the price rows accordingly.

While the static price column will simply display the prices in theincrements chosen by the trader, each price in the range correspondingto a consolidated price row will be rounded up or down depending onwhether the price is considered in relation to an ask or a bid quantity.If considered in relation to an ask quantity, the price will round up(or remain equal) to the nearest consolidated price row, and ifconsidered in relation to a bid quantity, the price will round down (orremain equal) to the nearest consolidated price row.

FIGS. 7A and 7B illustrate the consolidation of the prices from theunconsolidated display 1700 to the consolidated display 1702. In thedisplays shown, the range of prices 95-99 (1716) corresponding to bidsconsolidate to price 95 (1726). The range of prices 00-04 (1718)corresponding to bids consolidate to price 00 (1728). The range ofprices 01-05 (1720) corresponding to asks consolidate to price 05(1730). The range of prices 06-10 (1722) corresponding to asksconsolidate to price 10 (1732). For example, the 04 price in the 1720range is rounded up to 05 when considered in relation to the askquantity in the market. The 05 price is included in the 05 consolidatedprice row when considered in relation to the ask quantity in the market.The remaining prices in range 1720 (03, 02, and 01) are irrelevant whenconsidering the prices of asks in the market because there are no askquantities in the market.

Conversely, prices 03, 02, 01, and 00 in the range 1718 are rounded downto 00 as the next lowest consolidated price row in relation to the bidquantities in the market. Price 04 of range 1718 is irrelevant whenconsidering the prices of bids in the market because there are nocorresponding bid quantities in the market.

The user, under the present invention, has the ability to offset thestarting point for the consolidation of prices. This display of pricesdepends both on the manner in which each exchange provides the priceinformation and the user's preferences. The prices may be displayed onthe screen in ticks, fractions of ticks, or in currency (dollars, Euros,etc.). Regardless of the manner in which prices are displayed, thecalculations performed to effect the present invention assume that theprices are in ticks. For example, if the market tick size is 0.25, but atrader is trading in dollars and enters an order of $10, the inventionwill view the trader's order as 40 ticks when performing calculations(0.25×40=10). The starting point for the display of the consolidation ofprices automatically defaults to the zero price level, but it may beoffset to any price level from zero to one less than the range size(increment) chosen by the user. For example, if the trader chose toconsolidate the price row into groups of five, the starting point couldbe any integer from 0 through 4, since 4 is one less than the maximumgroup size of 5. From that starting point, the static price row willascend and descend. This enables the trader to group price rows at anytick offset. For example, if the market tick size is 0.25 (i.e. $0.25)the price row will ascend as follows: 0.25, 0.50, 0.75, 1.00, 1.25, etc.If the trader wanted to display the price row in increments of 1.0 (e.g.1.00, 2.00, 3.00, 4.00, etc.), he would choose to consolidate the pricerow into groups of 4 since 0.25 goes into 1.00 four times. Starting atthe default starting point of zero, the price row would then ascend asfollow: 1.00, 2.00, 3.00, 4.00, etc. Now assume that this same trader,still wanting to trade in increments 1.00, would rather trade with theprice row displaying prices at the 0.5 point. He would then set the tickoffset to 2 ticks (equivalent to an offset of 0.5 where the tick size is0.25). This is possible because 0.50 would fall into a price levelbetween zero and one less than the range size of 4. Due to the offset,the consolidation would begin at 0.50 with 0.50, 0.75, 1.00, and 1.25being the prices in the first consolidated price group (this group wouldbe displayed on the screen as the 0.50 price level). All of theascending price groups, beginning at 1.50, would now be in increments of1.00 (groups of four 0.25 price levels) and will ascend the price row asfollows: 0.50, 1.50, 2.50, 3.50, 4.50, etc.

Note that in the figures of the present specification, no offset hasbeen used.

The following equations are used to determine what consolidated pricewould correspond to a given bid or ask price:

P=Price (in ticks)

N=Variable increment chosen by the trader (number of ticks perconsolidated price)

Bcp=Consolidated price row with corresponding bid quantity (in ticks)

Acp=Consolidated price row with corresponding ask quantity (in ticks)

Int=Integer Function

Os=Offset (# of ticks)Bcp=Int((P−Os)/N)N+OsAcp=Int(((P−Os)+N−1)/N)N+Os

At the end of the calculations, the result, which is in the units ofticks, is displayed on the screen in ticks or converted to a format/unitdesired by the user in a manner as set forth above with respect to theconversion to ticks.

As the price column is condensed, the corresponding bid and askquantities in the market also are condensed with their correspondingconsolidated prices. Bid quantities in the market are consolidated intothe lowest corresponding price row. Conversely, ask quantities in themarket are consolidated into the highest corresponding price row. Suchconsolidation is demonstrated in FIGS. 8A and 8B. The screen displayedon the right (1702) shows a consolidated price column 1714 and thecorresponding consolidated bid 1710 and ask 1712 quantities. The bidquantities in the market are consolidated to the lowest correspondingprice (00, 95, 90, 85 etc.), while the ask quantities are consolidatedto their highest corresponding price (05, 10, 15, 20 etc.).

As will often be the case, and as illustrated by FIGS. 8A and 8B, theinside market may fall within a consolidated price row. In other words,the inside market prices—03 and 04 in price column 1708—are between theconsolidated price rows—00 and 05 in price column 1714. The roundingprinciple set forth above still applies in this scenario. As a result,all of the bid quantities in the relevant range 1802 (here one of thebid quantities is 0, because it is above the inside market) willcorrespond to the consolidated price row “00” (1808), which now displaysa consolidated bid quantity of 108 which is the sum of the bidquantities in the price range 00-04. All of the ask quantities in therelevant range 1804 (here three of the ask quantities are 0, becausethey are below the inside market) will correspond to the condensed pricerow “05” (1806), which now displays a condensed ask quantity of 206which is the sum of the ask quantities in the price range of 01-05.

Placing Trade Orders

Next, trading commodities, and specifically, the placement of tradeorders using the Mercury display is described. Using the Mercury displayand trading method, a trader would first designate the desired commodityand, if applicable, the default quantities. Then he can trade withsingle clicks of the right or left mouse button. The following equationsare used by the system to generate trade orders and to determine thequantity and price to be associated with the trade order. The followingabbreviations are used in these formulas: P=Price value of row clicked(in ticks), R=Value in R field, L=Value in L field, Q=Current Quantity,Q_(a)=Total of all quantities in AskQ column at an equal or better pricethan P, Q_(b)=Total of all quantities in BidQ column at an equal orbetter price than P, N=Current Net Position, Bo=Buy order sent to marketand So=Sell order sent to market.

Any Order Entered Using Right Mouse ButtonBo=(Q _(a) +R)P  (Eq. 1) If BidQ field clicked.So=(Qb+R)P  (Eq. 2) If AskQ field clicked.

Orders Entered Using the Left Mouse Button

If “Offset” mode chosen in Quantity Description field then (note, thisOffset is different than the offset described above with respect toprice consolidation):Bo=(Q _(a) +L)P  (Eq. 3) If BidQ field clicked.So=(Q _(b) +L)P  (Eq. 4) If AskQ field clicked.

If “number” mode chosen in Quantity Description field then:Bo=QP  (Eq. 5)So=QP  (Eq. 6)

If “NetPos” mode chosen in Quantity Description field then:Bo=NP  (Eq. 7)So=NP  (Eq. 8)

Orders can also be sent to market for quantities that vary according tothe quantities available in the market; quantities preset by the trader;and which mouse button the trader clicks. Using this feature, a tradercan buy or sell all of the bids or asks in the market at or better thana chosen price with one click. The trader could also add or subtract apreset quantity from the quantities outstanding in the market. If thetrader clicks in a trading cell—i.e. in the BidQ or AskQ column, he willenter an order in the market. The parameters of the order depend onwhich mouse button he clicks and what preset values he set.

Using the screen display and values from FIG. 5, the placement of tradeorders using the Mercury display and trading method is now describedusing examples. A left click on the 18 in the BidQ column 1201 will sendan order to market to buy 17 lots (quantity # chosen on the QuantityDescription pull down menu cell 1204) of the commodity at a price of 89(the corresponding price in the Prc column 1203). Similarly, a leftclick on the 20 in the AskQ column 1202 will send an order to market tobuy 17 lots at a price of 90.

Using the right mouse button, an order would be sent to market at theprice that corresponds to the row clicked for the total quantity oforders in the market that equal or better the price in that row plus thequantity in the R field 1205. Thus, a right click in the AskQ column1202 in the 87 price row will send a sell order to market at a price of87 and a quantity of 150. 150 is the sum of all the quantities 30, 97,18 and 5. 30, 97 and 18 are all of the quantities in the market thatwould meet or better the trader's sell order price of 87. Thesequantities are displayed in the BidQ column 1201 because this columnrepresents the orders outstanding in the market to purchase thecommodity at each corresponding price. The quantity 5 is the quantitypre-set in the R field 1205.

Similarly, a right click in the BidQ column 1201 at the same price levelof 87 would send a buy limit order to market for a quantity of 5 at aprice of 87. The quantity is determined in the same manner as above. Inthis example, though, there are no orders in the market that equal orbetter the chosen price—there are no quantities in the AskQ column 1202that equal or better this price. Therefore, the sum of the equal orbetter quantities is zero (“0”). The total order entered by the traderwill be the value in the R field, which is 5.

An order entered with the left mouse button and the “Offset” optionchosen in the quantity description field 1204 will be calculated in thesame way as above, but the quantity in the L field 1206 will be addedinstead of the quantity in the R field 1205. Thus, a left click in theBidQ column 1201 in the 92 price row will send a buy order to market ata price of 92 and a quantity of 96. 96 is the sum of all the quantities45, 28, 20 and 3. 45, 28 and 20 are all quantities in the market thatwould meet or better the trader's buy order price of 92. Thesequantities are displayed in the AskQ column 1202 because this columnrepresents the orders outstanding in the market to sell the commodity ateach corresponding price. The quantity 3 is the quantity pre-set in theL field 1206.

The values in the L or R fields may be negative numbers. This wouldeffectively decrease the total quantity sent to market. In other words,in the example of a right click in the AskQ column 1202 in the 87 pricerow, if the R field was −5, the total quantity sent to market would be140 (30+97+18+(−5)).

If a trader chose the “NetPos” option in the quantity description field1204, a right click would still work as explained above. A left clickwould enter an order with a price corresponding to the price row clickedand a quantity equal to the current Net position of the trader. The Netposition of the trader is the trader's current position on the chosencontract. In other words, if the trader has bought 10 more contractsthan he has sold, this value would be 10. NetPos would not affect thequantity of an order sent with a right click.

If the trader chose a number value in the quantity description, a leftclick would send an order to market for the current quantity chosen bythe trader. The default value of the current quantity will be the numberentered in the quantity description field, but it could be changed byadjusting the figure in the current quantity field 1204.

This embodiment of the invention also allows a trader to delete all ofhis working trades with a single click of either the right or left mousebutton anywhere in the last traded quantity (LTQ) column 1207. Thisallows a trader to exit the market immediately. Traders will use thisfeature when they are losing money and want to stop the losses frompiling up. Traders may also use this feature to quickly exit the marketupon making a desired profit. The invention also allows a trader todelete all of his orders from the market at a particular price level. Aclick with either mouse button in the Entered/Working (E/W) column 1208will delete all working orders in the cell that was clicked. Thus, if atrader believes that previously sent orders at a particular price thathave not been filled would be poor trades, he can delete these orderswith a single click.

The process for placing trade orders using the Mercury display andtrading method of the present invention as described above is shown inthe flowchart of FIG. 6. First, in step 1301, the trader has the Mercurydisplay on the trading terminal screen showing the market for a givencommodity. In step 1302, the parameters are set in the appropriatefields, such as the L and R fields and the Current Quantity, NetPos orOffset fields from the pull down menu. In step 1303, the mouse pointeris positioned and clicked over a cell in the Mercury display by thetrader. In step 1304, the system determines whether the cell clicked isa tradeable cell (i.e. in the AskQ column or BidQ column). If not, thenin step 1305, no trade order is created or sent and, rather, otherquantities are adjusted or functions are performed based upon the cellselected. Otherwise, in step 1306, the system determines whether it wasthe left or the right button of the mouse that was clicked. If it wasthe right, then in step 1307, the system will use the quantity in the Rfield when it determines the total quantity of the order in step 1310.If the left button was clicked, then in step 1308, the system determineswhich quantity description was chosen: Offset, NetPos or an actualnumber.

If Offset was chosen, then the system, in step 1309, will use thequantity in the L field when it determines the total quantity of theorder in step 1310. If NetPos was chosen, then the system, in step 1312,will determine that the total quantity for the trade order will be thecurrent NetPos value, i.e. the net position of the trader in the givencommodity. If an actual number was used as the quantity description,then, in step 1311, the system will determine that the total quantityfor the trade order will be the current quantity entered. In step 1310,the system will determine that the total quantity for the trade orderwill be the value of the R field (if step 1307 was taken) or the valueof the L field (if step 1309 was taken) plus all quantities in themarket for prices better than or equal to the price in the row clicked.This will add up the quantities for each order in the market that willfill the order being entered by the trader (plus the L or R value).

After either steps 1310, 1311 or 1312, the system, in step 1313,determines which column was clicked, BidQ or AskQ. If AskQ was clicked,then, in step 1314, the system sends a sell limit order to the market atthe price corresponding to the row for the total quantity as alreadydetermined. If BidQ was clicked, then, in step 1315, the system sends abuy limit order to the market at the price corresponding to the row forthe total quantity as already determined.

Placing Trade Orders Using Price Consolidation

Now, placing trade orders using the price consolidation feature of thepresent invention is described. The method and single actions used inplacing trade orders are the same as described above. Under priceconsolidation, however, the contents of the trade order are differentthan when the price consolidation feature is not used. Specifically, theprice or prices at which orders and the quantities for which they areplaced differ from that described above.

FIG. 9 illustrates an unconsolidated display 1700 under the presentinvention. Within the bid 1704 and ask 1706 columns of the display ofthe present invention, there are essentially four distinct areas inwhich a trader can click to send an order to the market. These are shownas Areas 1-4 in FIG. 9. Two are within the bid display region (1704) andtwo are within the ask display region (1706). Clicking on an active cellwithin one of the areas will enter an order that either “joins” themarket, “hits” an existing bid, or “takes” an existing ask. If eitherhitting a bid or taking an ask, then such orders will likely beimmediately filled in the market. While these areas are shown inrelation to an unconsolidated display, they are meant to refer, for thepurposes of the present specification, to corresponding areas in theconsolidated displays as well. Accordingly, Area 1 is meant to refer tothe cells in the bid display region corresponding to prices at or abovethe inside market. Area 2 refers to the cells in the ask display regioncorresponding to prices at or below the inside market. Area 3 refers tothe cells in the bid display region corresponding to prices at or belowthe inside market. Area 4 refers to the cells in the ask display regioncorresponding to prices at or above the inside market.

Using the display of the present invention without price consolidation,a trader clicking on a specific row in area 1, will send a limit orderto buy at the price corresponding to that row or at a better price. Thisorder will “take” existing asks and will likely be immediately filled inthe market. Similarly, by clicking on a specific row in area 2, a traderwill send a limit order to sell at the price corresponding to that rowor at a better price. This order will “hit” existing bids in the marketand will likely be immediately filled in the market.

When a trader sends a buy or sell order to market by clicking in a rowwhere prices have been consolidated, a limit order will be sent to theexchange to be filled at the best price[s] available from the clickedprice row to the inside market. For example, referring again to FIGS. 8Aand 8B, if a trader clicks in the AskQ column 1712 in the “00”consolidated price row 1808, and his preset quantity is 100, his orderwill be filled as follows: 2 at a price of 03, 2 at a price of 02, 2 ata price of 01, and 94 at a price of 00 (see range 1802). If the traderclicks in the BidQ column 1710 in the “05” consolidated price row 1806,and his preset quantity is 100, his order will be filled as follows: 5at a price of 04 and 95 at a price of 05 (see range 1804).

In the consolidated display 1702, when clicking in either area 1 or area2 with consolidated price rows, the present innovation carries out a2-step process. Step 1 involves sending an order to the market up to thequantity of orders available in the market at the desired price orbetter. If the quantity of the order is for less than the quantityavailable in the market, then the order will be filled completely.However, if the order quantity is for more than the quantity availablein the market, step 1 will result in filling only the quantity availableat the desired price or better (therefore “taking out” the market). Inthis case, Step 2 will be performed whereby the remaining quantity will“join” the market in accordance with the distribution scheme selected bythe trader (the various distribution schemes are described in detaillater in the specification). In essence, the process carried out in step2 is the same as when a trader joins the market via area 3 or area 4.

For example, in FIG. 8B, if a trader clicks in area 1 at price row 10with a predefined quantity of 400, an order to buy will be sent tomarket for all available quantities in the market at or better than aprice of 10. Using the values shown in ask display region 1712, allavailable quantities at or better than 10 equals 320 (114+206). All 320will be filled and, in accordance with step 2 described above, theinvention will send the remaining 80 to join the market in accordancewith the trader's pre-determined distribution scheme. In other words,the remaining quantity will join the market and be displayed on thetrader's screen in the BidQ column in consolidated price row 10. Theactual order quantity (or quantities) will be distributed according tothe pre-determined distribution scheme.

As described above, a trader who enters the market in area 1 or 2 with apre-defined quantity greater than the quantity available in the market,will join the market with that excess. By directly clicking on aspecific row in area 3 however, a trader elects to “join” the marketwith a Bid order at the price corresponding to that row. Similarly, byclicking on a specific row in area 4, a trader elects to “join” themarket with an Ask order at the price corresponding to that row.“Joining the market” means that the trader will place orders among theexisting orders in the market that will not immediately match otherorders in the market. Rather, the orders that join the market will onlybe filled if the market moves and they are matched.

Under the price consolidation feature of the present invention, theorders entered to join the market be grouped in a different manner. FIG.10 illustrates the consolidated display 1702, but here, unlike previousfigures, only the trader's orders are shown. The increment chosen by thetrader is 10. As evident from this figure, there is a bid order 1740 fora quantity 10 placed at consolidated price 00. The invention providesthe trader with multiple options for distributing the trade orderquantity among the prices within the range represented by theconsolidated price. The following are examples of such distributionmethods shown in unconsolidated displays using FIG. 10 and the tradeorder shown therein as a reference.

The first option is to allow a single limit order to be entered for thechosen quantity at the best price within the consolidated price row. Asshown in FIG. 11, if a trader clicks on the BidQ column 1710 (see FIG.10) at the 00 consolidated price row, he will join the market in thatconsolidated price row. If the Bid quantity that he wishes to enter is10, and he chooses to distribute all 10 orders at the best price, the 10orders (see 1704) will then be entered at the best price of 09 (see1708).

Another option under the present invention, as shown in FIG. 12, is toallow a single limit order to be entered for the chosen quantity at theworst price within the consolidated price row. Upon joining the marketat the 00 consolidated price row, and choosing to distribute all 10orders at the worst price, all 10 orders (see 1704) will be entered atthe worst price of 00 (see 1708).

Yet another option for distributing an entered order includes an evendistribution of multiple orders throughout the prices in theconsolidated price row. As shown in FIG. 13, after joining the market atthe 00 consolidated price row, and choosing to evenly distribute all 10order, one order each will be distributed among the 10 price rows thatmake up the consolidated 00 price row.

A further option is a random distribution of the orders as shown in FIG.14. The bid quantities shown in column 1704 sum to the order quantity of10 and are randomly distributed among the prices within the rangecorresponding to the consolidated price at which the order was placed.

The present invention will also allow a single limit order to be enteredfor the chosen quantity at both the best price and random prices withinthe consolidated price row. As shown in FIG. 15, the trader chose todistribute 50% of his 10 orders at the best price and randomlydistribute the additional 50% among any of the prices incorporated intothe consolidated price row.

Similarly, the present invention allows for the distribution of multiplepercentages of orders among the separate prices that make up theconsolidated price row. FIG. 16 illustrates orders entered by a traderwhen he chose to distribute 50% of the 10 orders at the best price, 20%at the worst price, and 30% midway through the best and worst prices.

In addition, the present invention will allow for the distribution ofmultiple orders from a consolidated price row to be weighted toward thebest price. In FIG. 17, the trader chose to weight his 10 orders towardthe best price resulting in four orders at the 09 price, three at 08,two at 07, and one at 06.

Much like the distribution explained above, the present invention alsoallows for the distribution of multiple orders from a consolidated pricerow to be weighted toward the worst price. FIG. 18 illustrates theresult of a trader choosing to weight his 10 orders toward the worstprice (four are at the 00 worst price, three at 01, two at 02, and oneat 03).

As discussed above, the aforementioned distribution schemes or anycombination thereof, can be used to distribute orders that are placed tojoin the market. Furthermore, they can be used to distribute excessorders, that is, the quantity of the order remaining after the quantityavailable in the market has been matched. The distribution of tradeorders can be accomplished by any convenient programming techniques,including rule-based programming techniques. Also, the randomization indistributing the trade orders can be accomplished through the use of oneor more standard randomizing algorithms.

When condensing prices, the market depth may affect the display ofconsolidated ticks. The order information that is available variesdepending on the exchange. Some exchanges offer an infinite number ofprices, while others may supply only a limited number. If a traderelects to group ticks into consolidated price rows of five ticks perrow, and a particular exchange offers only ten prices, consolidatingwould be unnecessary because all of the prices could be displayedseparately on the screen at the same time.

Flowchart of the Placing Trade Orders Using Price Consolidation

The flowchart shown in FIG. 19 illustrates the trade order placementusing price consolidation. It is a modification of that shown in FIG. 6which illustrates the process described in the parent application. Themodifications include a step 1916 for setting up the consolidationquantity (increment) and distribution scheme. The flowchart of FIG. 6has been altered to illustrate the effect of consolidating price rows.For example, if a trader enters the market and elects to enter a Bidorder of 20 commodities at a consolidated price of 00, since that 00represents a range of prices, the 00 may not be the best market price.The present invention provides that trader with the option of splittingthe quantity into one or more orders within the consolidated pricerange, and therefore potentially entering the market at a better price.In addition, as displayed in step 1916 of FIG. 19, a trader joining themarket has the option of setting up consolidation quantity anddistribution schemes as discussed above.

The boxes added to the flowchart address the treatment of orders thatare “better than” the market price but where the quantity selected islarger than the quantity available in the market. Specifically, theadded decision boxes address whether there is any quantity available inthe market at the order price or better (step 1917). If not, the orderremainder will be placed for the desired quantity in accordance with thepredefined distribution scheme (steps 1922 and 1923). If so, the nextquestion addressed is whether the entire quantity ordered is greaterthan what is available in the market at the order price or better (step1918). If not, the entire order will be placed (step 1919). If so, theorder will be placed for the quantity available in the market (step1920) and the remainder (step 1921) will be placed in accordance withthe predefined distribution scheme (steps 1922 and 1923).

It should be understood that the above description of the invention andspecific examples and embodiments, while indicating the preferredembodiments of the present invention are given by demonstration and notlimitation. Many changes and modifications within the scope of thepresent invention may be made without departing from the spirit thereofand the present invention includes all such changes and modifications.

The invention claimed is:
 1. A method comprising: generating, by acomputer device, a plurality of consolidated price levels, wherein eachconsolidated price level represents a range of price levels for acommodity, wherein each price level of the range of price levels isbased on price information related to the commodity and received from anelectronic exchange; displaying, by the computer device, the pluralityof consolidated price levels; generating, by the computer device, afirst consolidated quantity indicator, wherein the first consolidatedquantity indicator represents a plurality of bid quantity indicatorsassociated with a first range of price levels of a first consolidatedprice level of the plurality of consolidated price levels, the firstrange of price levels corresponding to bids; displaying, by the computerdevice, the first consolidated quantity indicator at a first locationaligned with the first consolidated price level of the plurality ofconsolidated price levels; generating, by the computer device, a secondconsolidated quantity indicator, wherein the second consolidatedquantity indicator represents a plurality of ask quantity indicatorsassociated with a second range of price levels of a second consolidatedprice level of the plurality of consolidated price levels, the secondrange of price levels corresponding to asks; and displaying, by thecomputer device, the second consolidated quantity indicator at a secondlocation aligned with the second consolidated price level of theplurality of consolidated price levels.
 2. The method of claim 1,wherein the plurality of consolidated price levels is displayed in agrid.
 3. The method of claim 1, further comprising: dynamically updatingthe first consolidated quantity indicator and the second consolidatedquantity indicator based on changes in the price information receivedfrom the electronic exchange.
 4. The method of claim 1, furthercomprising: displaying an order entry region comprising a plurality oflocations, each location in the order entry region for receiving acommand to send a trade order to the electronic exchange, each locationbeing aligned with a corresponding price level of the plurality ofconsolidated price levels and each location being selectable by a userinput device, the order entry region being configured such thatselection of one of the plurality of locations is a command to send atrade order to the electronic exchange based on a price level within arange of price levels of a consolidated price level that is associatedwith the selected location.
 5. The method of claim 4, wherein the pricelevel within the range of price levels of the consolidated price levelis selected using an order allocation rule.
 6. The method of claim 4,wherein the command consists of a single action command from the userinput device.
 7. The method of claim 6, wherein the single actioncommand consists of a single click of the user input device.
 8. Themethod of claim 6, wherein the single action command consists of adouble click of the user input device.
 9. The method of claim 1, whereinone or more of a number of price levels per consolidated price level andan offset used to configure a starting point for the plurality ofconsolidated price levels are adjustable.
 10. The method of claim 1,wherein the plurality of consolidated price levels are displayed along aprice axis.
 11. The method of claim 10, wherein the price axis isstatic.
 12. A computer readable medium having stored therein instructionfor execution by a processor, wherein the instructions are executableto: generate a plurality of consolidated price levels, wherein eachconsolidated price level represents a range of price levels for acommodity, wherein each price level of the range of price levels isbased on price information related to the commodity and received from anelectronic exchange; display the plurality of consolidated price levels;generate a first consolidated quantity indicator, wherein the firstconsolidated quantity indicator represents a plurality of bid quantityindicators associated with a first range of price levels of a firstconsolidated price level of the plurality of consolidated price levels,the first range of price levels corresponding to bids; display the firstconsolidated quantity indicator at a first location aligned with thefirst consolidated price level of the plurality of consolidated pricelevels; generate a second consolidated quantity indicator, wherein thesecond consolidated quantity indicator represents a plurality of askquantity indicators associated with a second range of price levels of asecond consolidated price level of the plurality of consolidated pricelevels, the second range of price levels corresponding to asks; anddisplay the second consolidated quantity indicator at a second locationaligned with the second consolidated price level of the plurality ofconsolidated price levels.
 13. The computer readable medium of claim 12,wherein the plurality of consolidated price levels is displayed in agrid.
 14. The computer readable medium of claim 12, wherein theinstructions are further executable to: dynamically update the firstconsolidated quantity indicator and the second consolidated quantityindicator based on changes in the price information received from theelectronic exchange.
 15. The computer readable medium of claim 12,wherein the instructions are further executable to: display an orderentry region comprising a plurality of locations, each location in theorder entry region for receiving a command to send a trade order to theelectronic exchange, each location being aligned with a correspondingprice level of the plurality of consolidated price levels and eachlocation being selectable by a user input device, the order entry regionbeing configured such that selection of one of the plurality oflocations is a command to send a trade order to the electronic exchangebased on a price level within a range of price levels of a consolidatedprice level that is associated with the selected location.
 16. Thecomputer readable medium of claim 15, wherein the price level within therange of price levels of the consolidated price level is selected usingan order allocation rule.
 17. The computer readable medium of claim 15,wherein the command consists of a single action command from the userinput device.
 18. The computer readable medium of claim 17, wherein thesingle action command consists of a single click of the user inputdevice.
 19. The computer readable medium of claim 17, wherein the singleaction command consists of a double click of the user input device. 20.The computer readable medium of claim 12, wherein one or more of anumber of price levels per consolidated price level and an offset usedto configure the starting point for the plurality of consolidated pricelevels are adjustable.
 21. The computer readable medium of claim 12,wherein the plurality of consolidated price levels are displayed along aprice axis.
 22. The computer readable medium of claim 21, wherein theprice axis is static.